I was playing the last mission on XCOM: Enemy Unknown. During the play the game started acting weird, so I saved and closed the game. Then I restarted it and went to load the file just to find out that all the saves of the last mission were missing (about 2 hours of play).

Is this a bug or a feature? Because it really made me sad, they could at least warn that is not possible so save the game during the last mission.

experienced the same, sorting of saves is awful in 2K games. E.g. it took a year to add by-date sorting to civ5 :)
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Sergey GrinevNov 1 '12 at 14:55

Same happened to me. Sorting seemed fine, with the latest at the top, until I hit ~100 (Ok, ok, I saved a lot during my first game). Once I got to about 100, the order got all screwed up, and the latest save was 7-8 down the list.
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RibsNGibsNov 2 '12 at 17:57

This sounds like a bug - in my games, I've been able to create multiple save files in the final mission, and load them as I see fit. My autosaves also persisted after I'd cleared the final mission. I tend to keep the last save from every game I've played, so I've got 2-3 games worth of saves on the final mission.

Save files are sorted alphabetically. I.e. in a dictionary save100 will come before save99. When that happened to my saves, I just went into the folder and packed everything before 100 into an archive. So now it is expected to break at 1000th save which shouldn't happen soon.